Ambiguity aversion in multi-armed bandit problems

DOI10.1007/S11238-011-9259-2MaRDI QIDQ656883zbMATH OpenOpenAlexFDO

Authors Christopher Anderson

Publication date 13 January 2012

Published in Theory and Decision (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s11238-011-9259-2

zbMATH Keywords

ambiguity aversionbandit problemGittins index

Mathematics Subject Classification ID

Bayesian problems; characterization of Bayes procedures (62C10) Markov and semi-Markov decision processes (90C40) Probabilistic games; gambling (91A60) Experimental studies (91A90) Statistical methods; economic indices and measures (91B82)

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Cites work

• A Bayesian analysis of human decision-making on bandit problems
• A Definition of Subjective Probability
• An experimental analysis of the bandit problem
• Ellsberg Revisited: An Experimental Study
• Good news and bad news: Search from unknown wage offer distributions
• scientific article; zbMATH DE number 4078557 (Why is no real title available?)
• scientific article; zbMATH DE number 3474804 (Why is no real title available?)
• scientific article; zbMATH DE number 194374 (Why is no real title available?)
• Maxmin expected utility with non-unique prior
• Price Differences in Almost Competitive Markets
• Recent developments in modeling preferences: Uncertainty and ambiguity
• Recursive smooth ambiguity preferences
• Risk, ambiguity and the Savage axioms
• Sequential Choice Under Ambiguity: Intuitive Solutions to the Armed-Bandit Problem
• Subjective Probability and Expected Utility without Additivity
• The Ellsberg Paradox and Risk Aversion: An Anticipated Utility Approach

Cited in

(14)

• Risk aversion in expected intertemporal discounted utilities bandit problems
• The K-armed bandit problem with multiple priors
• Capacity expansion under uncertainty in an oligopoly using indirect reinforcement-learning
• A note on optimal experimentation under risk aversion
• Robust experimentation in the continuous time bandit problem
• Ambiguity aversion in the small and in the large for weighted linear utility
• Learning and self-confirming long-run biases
• The effect of ambiguity aversion on reward scheme choice
• Nonparametric learning rules from bandit experiments: the eyes have it!
• Updating Ambiguity Averse Preferences
• Sequential Choice Under Ambiguity: Intuitive Solutions to the Armed-Bandit Problem
• Randomize at Your Own Risk: On the Observability of Ambiguity Aversion
• On the (non-) reliance on algorithms -- a decision-theoretic account
• Ambiguity aversion and ambiguity content in decision making under uncertainty

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